HARGA SAHAM

TANGGAL TANGGAL
UNVRJK (A)GGRMJK (B) TLKMJK (C) BBRIJK (D) BBCAJK (E)
9/2/2019 47950 66400 4410 4220 30000 9/2/2019
9/3/2019 47475 67550 4350 4150 30275
9/4/2019 47575 68100 4290 4160 30100 9/3/2019
9/5/2019 48025 67275 4320 4220 30200 9/4/2019
9/6/2019 47050 67700 4210 4270 30125 9/5/2019
9/9/2019 47700 68650 4270 4170 30175 9/6/2019
9/9/2019

RETURN (Rt)
TANGGAL
UNVRJK (A)GGRMJK (B) TLKMJK (C) BBRIJK (D) BBCAJK (E)
9/3/2019 -0.991% 1.732% -1.361% -1.659% 0.917%
9/4/2019 0.211% 0.814% -1.379% 0.241% -0.578%
9/5/2019 0.946% -1.211% 0.699% 1.442% 0.332%
9/6/2019 -2.030% 0.632% -2.546% 1.185% -0.248%
9/9/2019 1.382% 1.403% 1.425% -2.342% 0.166%
E(Rt) -0.097% 0.674% -0.632% -0.227% 0.118%
Aset Bebas Resiko IHSG Return Pasar SAHAM UNVRJK

5.50% 6290.55 RETURN

TANGGAL SAHAM PASAR
5.50% 6261.59 -0.46%
5.50% 6269.69 0.13% 9/3/2019 -0.991% -0.46%
5.50% 6306.803 0.59% 9/4/2019 0.211% 0.13%
5.50% 6308.95 0.03% 9/5/2019 0.946% 0.59%
5.50% 6326.213 0.27% 9/6/2019 -2.030% 0.03%
total 0.29% 9/9/2019 1.382% 0.27%
varian 0.06% JUMLAH -0.483% 0.569%
SD 2.42888% RATA RATA -0.097% 0.114%
BETA 238.29753%
NILAI K -7.34%
PERBANDINGAN NILAI K DAN ER
K -7.34% K<ER = OVER
ER -0.097% K>ER = UNDER
OVER

KETERANGANUNVRJK (A)
Nilai K -7.335%

Keterangan K
UNVRJK (A) -7.34%
GGRMJK (B) 18.151%
TLKMJK (C) -8.409%
BBRIJK (D) -5.236%
BBCAJK (E) 8.511%
SAHAM UNVRJK SAHAM GGRMJK

RETURN
COVARIAN VARIAN TANGGAL SAHAM PASAR COVARIAN VARIAN

0.00513% 0.00330% 9/3/2019 1.732% -0.46% -0.00607% 0.00330%

0.00005% 0.00000% 9/4/2019 0.814% 0.13% 0.00002% 0.00000%
0.00499% 0.00229% 9/5/2019 -1.211% 0.59% -0.00902% 0.00229%
0.00154% 0.00006% 9/6/2019 0.632% 0.03% 0.00003% 0.00006%
0.00236% 0.00026% 9/9/2019 1.403% 0.27% 0.00117% 0.00026%
0.01407% 0.00590% JUMLAH 3.370% 0.569% -0.01387% 0.00590%
RATA RATA 0.674% 0.114%
BETA -234.88167%
NILAI K 18.15%
PERBANDINGAN NILAI K DAN ER
<ER = OVER K 18.15% K<ER = OVER
>ER = UNDER ER 0.674% K>ER = UNDER
UNDER

GGRMJK (B) TLKMJK (C) BBRIJK (D) BBCAJK (E)

18.151% -8.409% -5.236% 8.511%

ER Cost of Equity
-0.097% OVERVALUED
0.674% UNDERVALUED
-0.632% OVERVALUED
-0.227% OVERVALUED
0.118% UNDERVALUED
 CAPITAL ASSET PRICING MODEL (CAPM)

SAHAM TLKMJK

RETURN
TANGGAL SAHAM PASAR COVARIAN VARIAN TANGGAL

9/3/2019 -1.361% -0.46% 0.00418% 0.00330% 9/3/2019

9/4/2019 -1.379% 0.13% -0.00012% 0.00000% 9/4/2019
9/5/2019 0.699% 0.59% 0.00637% 0.00229% 9/5/2019
9/6/2019 -2.546% 0.03% 0.00152% 0.00006% 9/6/2019
9/9/2019 1.425% 0.27% 0.00329% 0.00026% 9/9/2019
JUMLAH -3.162% 0.569% 0.01525% 0.00590% JUMLAH
RATA RATA -0.632% 0.114% RATA RATA
BETA 258.23067% BETA
NILAI K -8.41% NILAI K
PERBANDINGAN NILAI K DAN ER
K -8.41% K<ER = OVER K
ER -0.632%K>ER = UNDER ER
OVER
SAHAM BBRIJK SAHAM BBCAJK

RETURN RETURN
SAHAM PASAR COVARIAN VARIAN TANGGAL SAHAM

-1.659% -0.46% 0.00822% 0.00330% 9/3/2019 0.917%

0.241% 0.13% 0.00007% 0.00000% 9/4/2019 -0.578%
1.442% 0.59% 0.00798% 0.00229% 9/5/2019 0.332%
1.185% 0.03% -0.00112% 0.00006% 9/6/2019 -0.248%
-2.342% 0.27% -0.00338% 0.00026% 9/9/2019 0.166%
-1.133% 0.569% 0.01177% 0.00590% JUMLAH 0.588%
-0.227% 0.114% RATA RATA 0.118%
199.32578% BETA -55.90480%
-5.24% NILAI K 8.51%
PERBANDINGAN NILAI K DAN ER PERBANDINGAN NILAI K DAN ER
-5.24% K<ER = OVER K 8.51%
-0.227% K>ER = UNDER ER 0.118%
OVER UNDER
AM BBCAJK

PASAR COVARIAN VARIAN

-0.46% -0.00459% 0.00330%

0.13% -0.00011% 0.00000%
0.59% 0.00103% 0.00229%
0.03% 0.00029% 0.00006%
0.27% 0.00008% 0.00026%
0.569% -0.00330% 0.00590%
0.114%

BANDINGAN NILAI K DAN ER

K<ER = OVER
K>ER = UNDER
 UNVRJK (A) IHSG RETURN IHSG RETURN ESPEKTASI IHSG
9/3/2019 -0.991% 6261.59 -0.46%
9/4/2019 0.211% 6269.69 0.13%
9/5/2019 0.946% 6306.803 0.59% 0.114%
9/6/2019 -2.030% 6308.95 0.03%
9/9/2019 1.382% 6326.213 0.27%

GGRMJK (B) IHSG RETURN IHSG RETURN ESPEKTASI IHSG

9/3/2019 1.732% 6261.59 -0.46%
9/4/2019 0.814% 6269.69 0.13%
9/5/2019 -1.211% 6306.803 0.59% 0.114%
9/6/2019 0.632% 6308.95 0.03%
9/9/2019 1.403% 6326.213 0.27%

TLKMJK (C) IHSG RETURN IHSG RETURN ESPEKTASI IHSG

9/3/2019 -1.361% 6261.59 -0.46%
9/4/2019 -1.379% 6269.69 0.13%
9/5/2019 0.699% 6306.803 0.59% 0.114%
9/6/2019 -2.546% 6308.95 0.03%
9/9/2019 1.425% 6326.213 0.27%

BBRIJK (D) IHSG RETURN IHSG RETURN ESPEKTASI IHSG

9/3/2019 -1.659% 6261.59 -0.46%
9/4/2019 0.241% 6269.69 0.13%
9/5/2019 1.442% 6306.803 0.59% 0.114%
9/6/2019 1.185% 6308.95 0.03%
9/9/2019 -2.342% 6326.213 0.27%

BBCAJK (E) IHSG RETURN IHSG RETURN ESPEKTASI IHSG

9/3/2019 0.917% 6261.59 -0.46%
9/4/2019 -0.578% 6269.69 0.13%
9/5/2019 0.332% 6306.803 0.59% 0.114%
9/6/2019 -0.248% 6308.95 0.03%
9/9/2019 0.166% 6326.213 0.27%

*α= Return Espektasi-(ᵝ*Return Espektasi IHSG)

*eA,t= Return Saham Periode (n)-α-(ᵝ*Return IHSG Periode (n))
*E(eA)= (Total eA,t)/(Jumlah Data-1)
*σeA²=((eA,t Periode (1)-E(eA))^2+....+(eA,t Periode (n)-E(eA))^2)/Jumlah data-1
*σM²= ((Return IHSG Periode (1)-Return Espektasi IHSG)^2+....+(Return IHSG Periode (n)-Return Espektasi IHSG)^2)/Jumla
*σA²= (ᵝ^2)+σM²+σeA²
*ERB= (Return Espektasi-BI Rate)/ᵝ
*Aᵢ= ((Return Espektasi-BI Rate)*ᵝ)/σeA²
*Bᵢ= ᵝ/σeA²
*Ci=(σM²*Ai)/((1+(σM²*Bi)))
*Zi=(ᵝ/σeA²)*(ERB-Ci)
*Wi Emiten (x)= (Zi Emiten (x)-Total Zi)*100%
 RETURN ESPEKTASI ᵝ α eA,t E(eA) σeA²
0.4739918%
0.2699245%
-0.097% 238% -0.3675492% -0.0971617% 0.00000% 0.009102%
-1.7437660%
1.0970115%

RETURN ESPEKTASI ᵝ α eA,t E(eA) σeA²

-0.2904458%
0.1770134%
0.674% -235% 0.9410415% -0.7621293% 0.00000% 0.003940%
-0.2293463%
1.1049081%

RETURN ESPEKTASI ᵝ α eA,t E(eA) σeA²

0.754275%
-0.787364%
-0.632% 258% -0.925994% 0.096716% 0.00000% 0.013642%
-1.708210%
1.644583%

RETURN ESPEKTASI ᵝ α eA,t E(eA) σeA²

-0.2879358%
0.4363055%
-0.227% 199% -0.4531897% 0.7156021% 0.00000% 0.018352%
1.5701682%
-2.4341401%

RETURN ESPEKTASI ᵝ α eA,t E(eA) σeA²

0.4780233%
-0.6869888%
0.118% -56% 0.1812727% 0.4818779% 0.00000% 0.002240%
-0.4105856%
0.1376732%

rn Espektasi IHSG)^2)/Jumlah data-1
*α ADRO= -0,9662857%-(1255%*0,07376%)
*eA,t ADRO Selasa=-10,861423% -(-1,8918378%)-(1255%*(-0,4
*E(eA) ADRO= (-3,1935060%+4,0553186%-(-3,5169517%)-2,65
*σeA² ADRO=((-3,1935060%-0%)^2+(4,0553186%-0%)^2+(-3,5
*σM² ADRO= ((-0,46031%-0,07376%)^2+(0,12894%-0,07376%
*Σa²Adro= (1255%^2)+0,001397%+0,115157%
*ERB ADRO= (-0,9662857%-5,50%)/1255%
*Aᵢ ADRO= ((-0,9662857%-5,50%)*1255%)/0,115157%
*Bᵢ ADRO= 1255%/0,115157%
*Ci ADRO=(0,001397%*(-70460,7804689%))/((1+(0,001397%*
*Zi ADRO=(1255%/0,115157%)*((-0,5153140)-(-0,8542912%)
*Wi ADRO= (3693,7120328%)/(-2986946,2222911%))*100%
 σM² σA² BI RATE ERB Aᵢ Bᵢ

0.001181% 567.867% 5.50% -2.3485587% -146518.348% 2618008.523%

σM² σA² BI RATE ERB Aᵢ Bᵢ

0.001181% 551.699% 5.50% 2.0546796% 287710.692% -5961598.965%

σM² σA² BI RATE ERB Aᵢ Bᵢ

0.001181% 666.846% 5.50% -2.374751% -116081.862% 1892947.360%

σM² σA² BI RATE ERB Aᵢ Bᵢ

0.001181% 397.327% 5.50% -2.8729432% -62198.371% 1086146.721%

σM² σA² BI RATE ERB Aᵢ Bᵢ

0.001181% 31.257% 5.50% 9.6276204% 134304.753% -2495303.055%

07376%)
-1,8918378%)-(1255%*(-0,46031%))
3186%-(-3,5169517%)-2,6551391%)/4
+(4,0553186%-0%)^2+(-3,5169517%-0%)^2+(2,6551391%-0%)^2)/4
%)^2+(0,12894%-0,07376%)^2+(0,59236-0,07376)^2+(0,03404%-0,07376%)^2)/4
0,115157%
/1255%
1255%)/0,115157%
04689%))/((1+(0,001397%*1089663,887286%)))
0,5153140)-(-0,8542912%)
86946,2222911%))*100%
 Cᵢ Zᵢ Wᵢ

Keterangan C
-1.3216262% -3976850255.4598400% -42% UNVRJK (A) -1.322%
GGRMJK (B) 11.478%
TLKMJK (C) -1.120%
BBRIJK (D) -0.651%
Cᵢ Zᵢ Wᵢ BBCAJK (E) 2.249%

11.4780818% 14258837282.6706000% 149%

Keterangan Zᵢ
UNVRJK (A) -3976850255.460%
GGRMJK (B) 14258837282.671%
Cᵢ Zᵢ Wᵢ TLKMJK (C) -1922240954.113%
BBRIJK (D) -849369066.697%
BBCAJK (E) 2060997637.553%
-1.120356% -1922240954.113060% -20% Total 9571374643.954%

Keterangan Wᵢ
UNVRJK (A) -42%
Cᵢ Zᵢ Wᵢ GGRMJK (B) 149%
TLKMJK (C) -20%
BBRIJK (D) -9%
-0.6509950% -849369066.6971890% -9% BBCAJK (E) 22%
Total 100%

Keterangan Bᵢ
Cᵢ Zᵢ Wᵢ UNVRJK (A) 2618008.523%
GGRMJK (B) -5961598.965%
TLKMJK (C) 1892947.360%
2.2485665% 2060997637.5530200% 22% BBRIJK (D) 1086146.721%
BBCAJK (E) -2495303.055%

9571374643.9535600% 100%
 ERB
-2.349%
2.055%
-2.375%
-2.873%
9.628%